The effect of ECB monetary policies on interest rates and volumes

Bibliographic Data

ID19035274
AuthorsJérôme Creel (0000-0001-6527-0632), Paul Hubert (0000-0002-9093-8822, corresponding author), Mathilde Viennot
Year2016
Volume48
Issue47
Pages4477-4501
Publication date2016-03-16
Open AccessNo
TypeARTICLE
VenueApplied Economics (JOURNAL)
Journal identifiersISSN: 0003-6846 • E-ISSN: 1466-4283
PublisherTaylor & Francis (PUBLISHER • GB)
DOI10.1080/00036846.2016.1158923
OpenAlexW2277752041
LanguageEN
Citations received4
References cited21

This article assesses the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and lending volumes or bond issuance for three types of different economic agents through five different markets: sovereign bonds at 6-month, 5-year and 10-year horizons, loans to nonfinancial corporations and housing loans to households, during the financial crisis, and for the four largest economies of the euro area. We look at three different unconventional tools: excess liquidity, longer-term refinancing operations and securities held for monetary policy purposes following the decomposition of the ECB’s Weekly Financial Statements. We first identify series of ECB policy shocks at the euro area aggregate level by removing the systematic component of each series and controlling for announcement effects. We second include these exogenous shocks in country-specific structural VAR, in which we control for credit demand. The main result is that only the pass-through from the ECB rate to interest rates has been effective. Unconventional policies have had uneven effects and primarily on interest rates

Aggregate demand · Bond · Central bank · Economics · Financial crisis · Interest rate · Macroeconomics · Market liquidity · Monetary economics · Monetary policy · Quantitative easing · Banking stability, regulation, efficiency · European Monetary and Fiscal Policies · Monetary Policy and Economic Impact · Finance

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